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Workflow

Algo Orders.

Please note the following Whisperer constraints:

Order Suspend/Resume functionality is not yet supported. This will be available with the publication of the next Whisperer schema version.

Supported Instruments

SecurityType

LegSettlType

OrdType

TimeInForce

SPT

Market

Limit

IOC¹

GFA²

DAY

GTD

SmartSweep and Custom Algos only.
Fixing Algo only.

Algo Selection

Refer to Supported Order Types (Algo Orders) for details on how to use the NoStrategyParameters block to send the details of the TargetStrategy, along with the corresponding strategy parameters.

The table below sets out the Algo parameters and combinations currently supported.

StrategyParameterName	StrategyParameterType	TargetStrategy
`TargetStrategy`	`String`	`SmartSweep`	`VWAP`	`TWAP`	`POV`	`iSeek`	`Benchmark OrFixing`	`Iceberg`	`Peg`	`Custom`
`FixingSource¹`	`String`						✓
`FixingDate²`	`LocalMktDate`						✓
`FixingTime³`	`String`						✓
`FixingTimeZone⁴`	`String`						✓
`MaxPercentVolume`	`Int`		✓	✓		✓				✓
`MinPercentVolume`	`Int`					✓				✓
`TargetPercentVolume`	`Int`				✓					✓
`Urgency`	`Int`		✓	✓	✓	✓				✓
`IWouldPrice`	`Price`		✓	✓	✓	✓		✓		✓
`IWouldSizePercent`	`Int`		✓	✓	✓	✓		✓		✓
`UpperBandPrice`	`Price`				✓					✓
`UpperBandTargetPercentVolume`	`Int`				✓					✓
`LowerBandPrice`	`Price`				✓					✓
`LowerBandTargetPercentVolume`	`Int`				✓					✓
`StopLossPrice`	`Price`		✓	✓	✓					✓
`SliceSize`	`Qty`		✓	✓	✓	✓	✓			✓
`SliceInterval`	`Int`			✓						✓
`RandomizationPercent`	`Int`			✓						✓
`PreFixAllocationPercent`	`Int`						✓			✓
`PegReferencePriceType⁵`	`Char`								✓	✓
`PegOffset`	`PriceOffset`								✓	✓
`PegFloorType⁶`	`Int`								✓	✓
`PegFloorPrice`	`Price`								✓	✓
`PegFloorFloatingPoints`	`PriceOffset`								✓	✓
`PriceType⁷`	`Int`	✓								✓
`StrategyConfig`	`String`	✓	✓	✓	✓	✓	✓		✓	✓

FixingSource may be one of:
- WMR - WM/Reuters
- BFIX - Bloomberg
FixingDate is formatted YYYYMMDD
FixingTime is formatted HH:MM (on the hour and half-hour)
FixingTimeZone may be one of:
- UTC (only)
- Other values rejected.
PegReferencePriceType may be one of:
- R - NearTouch
- M - MidPoint
- P - FarTouch
PegFloorType may be one of:
- 0 - NoFloor
- 1 - Fixed
- 2- Floating
PriceType may be one of:
- 99 - Average
- Other values ignored.

The table below sets out the standard Order field that may need to be used to further define the algo.

HasExtendedOrderFields	TargetStrategy
HasExtendedOrderFields	`SmartSweep`	`VWAP`	`TWAP`	`POV`	`iSeek`	`Benchmark OrFixing`	`Iceberg`	`Peg`	`Custom`
`EffectiveTime`	✓	✓	✓	✓	✓		✓	✓	✓
`ExpireTime`	✓	✓	✓	✓	✓		✓	✓	✓
`MinQty`	✓							✓	✓
`MaxShow`	✓						✓	✓	✓

Please refer to the API document provided by Precision for specific details.

PartyIDs

Please refer to Whisperer Enterprise - PartyIDs for the full Enterprise table across all venues.

Regulatory Fields

Please refer to or Regulatory Fields for the full Enterprise table across all venues.

Passthru Fields

Please refer to Passthru Fields for the full Enterprise table across all venues.